Korea has sanctions on it already from the last few tests and they're pretty dependant on aid from other countries. It could be like what I've read on Cracked.com, they do it so that they can freak out other nations and agree to quit in exchange for aid and food or somthing.
Idea two is that they want to hit japan, considering they launched a missle several years ago that had the ability to reach them.
Idea three is that they are worried that another nation may try to invade them, and having reputation for owning nukes and missles would be an incentive to avoid that.
Idea four, who gives a shit? Let the chinese deal with them since they hand out most of that aid anyway.